Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0295
Annualized Std Dev 0.3961
Annualized Sharpe (Rf=0%) 0.0744

Row

Daily Return Statistics

Close
Observations 5169.0000
NAs 1.0000
Minimum -0.2309
Quartile 1 -0.0125
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0001
Quartile 3 0.0135
Maximum 0.2558
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0011
Variance 0.0006
Stdev 0.0250
Skewness -0.2050
Kurtosis 8.4445

Downside Risk

Close
Semi Deviation 0.0180
Gain Deviation 0.0169
Loss Deviation 0.0185
Downside Deviation (MAR=210%) 0.0223
Downside Deviation (Rf=0%) 0.0178
Downside Deviation (0%) 0.0178
Maximum Drawdown 0.8275
Historical VaR (95%) -0.0378
Historical ES (95%) -0.0575
Modified VaR (95%) -0.0378
Modified ES (95%) -0.0642
From Trough To Depth Length To Trough Recovery
2008-05-21 2016-01-21 NA -0.8275 3231 1931 NA
2000-09-08 2002-10-16 2004-11-26 -0.7366 1036 504 532
2006-05-10 2006-06-13 2007-01-23 -0.3206 177 24 153
2007-07-24 2007-08-16 2007-09-24 -0.2652 44 18 26
2007-11-09 2008-01-23 2008-02-26 -0.1961 73 50 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA -0.6 0 1 2.3 -1.7 0.8 1.8
2001 -4.2 0 -1.4 0.1 -1.6 -1 1.6 -0.2 -2 1.8 1.6 -0.5 -5.9
2002 0.2 2.1 4.3 0.1 -0.8 -5.6 5.9 -0.4 10.4 -0.4 -2.9 -1.2 11.2
2003 3 1.1 3.6 0 0.4 1.7 -4 0.9 2.8 -1.1 4 0.9 13.8
2004 -2.7 4 1.1 -1 -1.5 1.3 0.4 -0.8 3.1 0.7 1.2 0.3 6.1
2005 0.1 -2.6 1.8 1.2 1 0.3 2.2 0.4 -0.4 2.3 3.3 -0.3 9.5
2006 -1.2 4.1 0.3 1.1 4.2 1.3 -1.3 2.4 -0.4 0.5 -1 0.2 10.5
2007 1.6 -0.9 -0.2 -0.1 3.2 0.8 -1 4 5.2 -2.8 1.6 -1.3 10.2
2008 1.9 -5.3 3.7 1.7 1.7 -1.7 -2.7 -1.3 -0.1 -3.7 -11.7 2.4 -14.8
2009 -1.2 -1.4 4.1 3.7 4 1.2 0.2 -2.3 -2.4 -4.5 3.2 0.1 4.3
2010 4.5 1.9 1.8 -1.3 -1.4 1.8 0.8 4.1 1.5 1.3 2.3 0.5 19.3
2011 2 -1.5 2.2 1.1 -2.1 1.1 -0.7 0.6 -3.7 -2.9 1.5 0.8 -1.8
2012 2.7 1.8 -0.3 0.6 -2.5 5.3 0.4 0.7 0.9 2 -0.6 1.2 12.6
2013 0.5 0.1 -0.9 -1.2 -2.8 -0.2 0.9 0.1 1 -1.1 1 0.7 -2
2014 -1 -1.5 0.3 -0.4 -2.1 0.2 0.5 1.8 -3.5 1.1 -4.1 -0.5 -9.1
2015 -4.7 1.3 2.8 0 0.7 -1.6 0.6 -4.6 0 0.4 0.3 -0.5 -5.5
2016 0.3 5.3 2.2 0.8 1.7 1.2 -2.1 0.3 0.4 -3.4 -6 -1 -0.7
2017 0.8 3.3 0.1 0.8 -0.8 0.9 0.8 1.5 1.8 -0.7 0.9 0.3 10.2
2018 0.3 0 3.1 -1.3 0.5 0.5 -0.3 2.6 -0.1 2.2 -0.1 0.3 8
2019 0.1 -1.5 2 -1.7 0.7 0.4 -0.8 1.7 -1.1 1.1 0.9 0.5 2.2
2020 -2.3 1.5 -4.2 -4.4 1.1 3.3 -2.5 4.2 0 -2.4 4.9 -0.2 -1.6
2021 2.1 -0.2 2.5 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-07-14  18.9 SPY    151.  0.0098  0.0213    0.023    0.0485   0.0665       NA       NA <NA>     NA    NA       NA
2 2000-07-17  20   SPY    151  -0.0017  0.0213    0.0192   0.0912   0.0719       NA       NA <NA>     NA    NA       NA
3 2000-07-18  19.9 SPY    150. -0.0082  0.0109    0.0216   0.0641   0.0854       NA       NA <NA>     NA    NA       NA
4 2000-07-19  19.4 SPY    149. -0.0072 -0.00290   0.0015   0.0292   0.0788       NA       NA <NA>     NA    NA       NA
5 2000-07-20  19.9 SPY    151.  0.013   0.0056    0.0182   0.0524   0.107        NA       NA <NA>     NA    NA       NA
6 2000-07-21  20   SPY    148. -0.0195 -0.0236   -0.0011   0.0269   0.0879       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart